% $Id: AmericanOptionImpliedVolatility.Rd,v 1.4 2004/12/28 03:14:08 edd Exp $
\name{AmericanOptionImpliedVolatility}
\alias{AmericanOptionImpliedVolatility}
\alias{AmericanOptionImpliedVolatility.default}
\title{Implied Volatility calculation for American Option}
\description{
  The \code{AmericanOptionImpliedVolatility} function solves for the
  (unobservable) implied volatility, given an option price as well as
  the other required parameters to value an option.

  The code is currently (QuantLib 0.3.7) broken and NA is
  returned. Debugging help would be welcome.}
\usage{
AmericanOptionImpliedVolatility.default(type, value, underlying, strike,
		dividendYield, riskFreeRate, maturity, volatility,
                timeSteps=150, gridPoints=151)

\method{print}{ImpliedVolatility}
\method{summary}{ImpliedVolatility}
}
\arguments{
  \item{type}{A string with one of the values \code{call} or \code{put}}
  \item{value}{Value of the option (used only for ImpliedVolatility calculation)}
  \item{underlying}{Current price of the underlying stock}
  \item{strike}{Strike price of the option}
  \item{dividendYield}{Continuous dividend yield (as a fraction) of the stock}
  \item{riskFreeRate}{Risk-free rate}
  \item{maturity}{Time to maturity (in fractional years)}
  \item{volatility}{Initial guess for the volatility of the underlying
    stock}
  \item{timeSteps}{Time steps for the Finite Differences method, default
    value is 150}
  \item{gridPoints}{Grid points for the Finite Differences method,
    default value is 151}

}
\value{

  The \code{AmericanOptionImpliedVolatility} function returns an object
  of class \code{\link{ImpliedVolatility}}. It contains a list with the
  following elements:
  \item{impliedVol}{The volatility implied by the given market prices}
  \item{parameters}{List with the option parameters used}

}
\details{
  The Finite Differences method is used to value the American Option.
  Implied volatilities are then calculated numerically.

  Please see any decent Finance textbook for background reading, and the
  \code{QuantLib} documentation for details on the \code{QuantLib}
  implementation.  
}
\references{\url{http://quantlib.org} for details on \code{QuantLib}.}
\author{Dirk Eddelbuettel \email{edd@debian.org} for the \R interface;
  the QuantLib Group for \code{QuantLib}}
\note{The interface might change in future release as \code{QuantLib}
  stabilises its own API.}
\seealso{\code{\link{EuropeanOption}},\code{\link{AmericanOption}},\code{\link{BinaryOption}}}

\examples{
AmericanOptionImpliedVolatility(type="call", value=11.10, underlying=100,
	strike=100, dividendYield=0.01, riskFreeRate=0.03,
	maturity=0.5, volatility=0.4)
}
\keyword{misc}

